Study: Buy PIDILITIND when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy PIDILITIND when above 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy PIDILITIND at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
127552.2452322061.543010.9410284.04-3439.89-14952.390.881.40.024529.85
219744.9252292355.775143.0717427.2-5626.27-24407.370.911.150.011379.71
360717.1552292355.776817.1923698.78-5955.71-26838.661.141.440.0261167.64
41794.7952302257.696637.9324056.57-8970.14-33964.370.741.010.0006634.52
547168.0952282453.857515.1320928-6802.31-24731.551.11.290.019907.08
63533.68522626507957.7219008-7821.81-26433.441.021.020.001467.96
76684.79522626508785.7626944.44-8528.65-30634.161.031.030.0023128.55
822059.2752252748.089634.9727000-8104.26-28270.411.191.10.0075424.22
930606.9522626509440.0819392.75-8262.89-31160.941.141.140.011588.59
1068274.7552272551.9210462.5230583.33-8568.53-29067.331.221.320.0221312.98
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail24.3598141.9679324740.5110671.224625.76-5177.37-11350.942.061.40.0291242.3
atrnil39.9411508071224930.9919388.6136938.63-6356.51-11582.583.051.370.0261620.85
atrtrail-16.1472076.3879314839.2410271.5132709.13-5132.09-11350.9421.290.02912.36
atrnil25.6972857.472284438.8912692.0224625.76-6420.89-11582.581.981.260.0211011.91
atrtrail35.4260131.7679314839.249886.222082-5132.09-11350.941.931.240.018761.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 40.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019706 May 2019 (-2.42%), 08 May 2019 (-2.09%), 14 May 2019 (-2.41%), 01 Jul 2019 (-0.3%), 09 Jul 2019 (4.35%), 17 Sep 2019 (-2.11%), 18 Sep 2019 (4.33%)
2018724 Jan 2018 (0.11%), 02 Feb 2018 (-1.19%), 21 Jun 2018 (5.77%), 12 Sep 2018 (0.36%), 26 Sep 2018 (-3.24%), 28 Sep 2018 (-3.28%), 26 Dec 2018 (6.16%)
2017522 Sep 2017 (-2.14%), 25 Sep 2017 (-2.17%), 26 Sep 2017 (0.04%), 31 Oct 2017 (-2.09%), 02 Nov 2017 (-1.38%)
2016628 Mar 2016 (5.4%), 10 Aug 2016 (-1.92%), 25 Aug 2016 (4.36%), 29 Sep 2016 (4.86%), 03 Nov 2016 (-1.53%), 09 Nov 2016 (-2.78%)
2015424 Apr 2015 (-2.96%), 27 Apr 2015 (-0.17%), 08 Jun 2015 (-0.7%), 16 Jun 2015 (6.24%)
2014403 Jan 2014 (0.83%), 27 Jan 2014 (-0.24%), 06 May 2014 (5.89%), 04 Jun 2014 (-2.93%)
2013313 Jun 2013 (4.75%), 24 Jun 2013 (5.35%), 06 Aug 2013 (-3.54%)
2012628 May 2012 (-3.65%), 19 Jun 2012 (7.37%), 23 Jul 2012 (6.0%), 10 Oct 2012 (-0.46%), 25 Oct 2012 (-2.26%), 31 Oct 2012 (6.8%)
2011228 Jan 2011 (-3.28%), 26 Aug 2011 (7.36%)
2010302 Feb 2010 (8.95%), 26 Oct 2010 (-3.29%), 27 Oct 2010 (8.39%)
2008316 Jan 2008 (-4.64%), 18 Jan 2008 (-4.96%), 21 Jan 2008 (-5.68%)
2004421 Jan 2004 (-4.18%), 27 Jan 2004 (-5.25%), 03 Feb 2004 (12.31%), 16 Mar 2004 (-3.11%)
2003611 Feb 2003 (-1.84%), 14 Feb 2003 (-2.05%), 18 Feb 2003 (4.35%), 27 Feb 2003 (-2.1%), 22 Oct 2003 (-3.45%), 24 Oct 2003 (7.18%)
2002321 May 2002 (9.79%), 24 Sep 2002 (-0.02%), 23 Oct 2002 (5.72%)
2000202 Mar 2000 (-4.23%), 03 Mar 2000 (-4.93%)
1999422 Sep 1999 (5.36%), 28 Oct 1999 (-4.26%), 01 Nov 1999 (1.38%), 22 Nov 1999 (6.92%)
1998208 Jun 1998 (-1.92%), 15 Jun 1998 (-4.49%)
1997323 Jun 1997 (-0.72%), 29 Aug 1997 (-2.86%), 01 Sep 1997 (6.79%)
1996529 May 1996 (-1.55%), 31 May 1996 (3.66%), 02 Jul 1996 (3.61%), 29 Jul 1996 (-2.3%), 06 Aug 1996 (-2.63%)



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